Abstract
This document serves as a comprehensive guide for the design and development of trading systems. It consolidates essential methodologies, best practices, and empirical techniques crucial for creating robust and efficient trading models.
All the information contained in this document is drawn from my personal experience, as well as insights gleaned from the books written by Robert Carver.
Overfitting
Survivorship bias
Implementation
Data correctness
Understand characteristic of trading rules
Understand characteristic of position sizing method
Analyze trading rule along with position sizing method
Behavior: how it behave in a paricular type of market.
Characteristic: Speed, trend length.
Correction among variations: Check structure - use square root of 2
Cost: Check costs of max and min cost of trading
Plot
window length on x with sharp ratio on y [systematic trading - page 59]
% fix cash target
% fix volatility target
% fix volatility via expected sharp.